We are in the finish line of an unprecedented comprehensive VaR module that we have developed on top of UnRisk-Q. I wrote about its motivation, the state-of-the-art and the achievements in VaR of the Jungle.
On top of UnRisk-Q means that we used financial objects that are represented in the Mathematica language and programmed all higher level constructs representing the VaR universe in Mathematica.
Through different layers it uses numerical schemes optimized in C++. This empowers us in combination with Mathematica's symbolic parallelization techniques to calculate VaR cubes of large portfolios across hundreds of scenarios in a few minutes.
But the development took a very small group of Mathematica programmers only about 4 months. The innovative spiral is accelerating with each development.
Quant developers and risk professionals might only need a few lines of high-level code to develop a back test, stress test or other risk test environment for their portfolio- up to firm-wide risk assessment.
